How to get Smoke into Z-Depth Pass?
You cannot get a Z-depth of a volumetric shader. You would have to somehow turn the volume into a mesh - and get a depth of those polygons.

An idea would be to give the smoke a color based on distance from camera - you can shade the volume almost solid with high density scatter shader - but that relies on external lighting. With emission shader the volume behaves additively resulting in incorrect depth-values (it's brighter than mesh at same depth). So there's no way to get the smoke's Z-depth other than meshifying it.